XLU Options History — June 2010

In June 2010, XLU traded between $14.04 and $15.19. ATM implied volatility averaged 20.3%, placing in the 42.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 3.6% (HV 20d: 24.0%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.14.

Notable Days

  • 2010-06-17: Highest Volume — 573,204 contracts
  • 2010-06-29: Largest IV spike — 27.6% change
  • 2010-06-07: Highest IV Rank — 84.2%
  • 2010-06-01: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.52$14.04$15.19$14.04$14.13
Max Pain$14.50$14.00$15.00$15.00$15.00
ATM IV20.3%15.3%28.8%26.4%23.9%
Expected Move5.6%4.4%7.6%7.6%6.9%
HV 20d24.0%22.3%25.4%23.0%22.3%
HV 60d19.2%16.7%20.4%16.7%20.3%
IV Rank42.9%18.7%84.2%72.5%60.4%
IV Percentile64.5%24.2%99.6%98.0%94.8%
Term Structure0.7%-3.8%3.1%-3.8%0.1%
VWIV20.0%15.2%26.2%26.1%24.4%
Skew 25d5.2%2.5%8.6%6.8%6.4%
Skew 10d11.1%4.9%21.9%11.3%11.1%
Call IV 25d17.7%13.9%22.5%22.5%21.0%
Put IV 25d22.9%17.2%29.3%29.3%27.4%
Bid-Ask Spread %10.647.6720.588.6020.58
Gamma HHI0.200.150.490.190.20
Net GEX-7.2M-19.1M1.1M-9.8M-5.8M
Net DEX104.1M-35.5M206.2M206.2M137.0M
Net VEX-1.2M-1.3M-1.2M-1.2M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.013.141.051.83
Total Volume39,4243,310573,2047,0603,310
Total OI534,504.182427,576608,814552,222504,830

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$14.04$15.0026.4%7.6%23.0%72.5%26.1%6.8%-3.8%-9.8M206.2M-1.2M1.058.603,4483,612216,778335,444
2010-06-02$14.34$15.0020.8%6.0%24.2%45.5%26.2%5.5%-1.0%-11.3M171.6M-1.2M2.0311.622,1604,384211,856334,752
2010-06-03$14.49$15.0020.4%5.8%24.6%43.4%20.9%5.0%-1.8%-10.8M139.3M-1.2M1.2011.073,0503,656212,314334,460
2010-06-04$14.06$14.0025.9%6.5%24.9%69.8%24.0%8.6%-0.8%-9.7M204.4M-1.2M0.7513.527,1685,406213,620335,052
2010-06-07$14.14$14.0028.8%6.7%25.0%84.2%21.9%6.7%-0.5%-10.7M195.1M-1.2M0.6516.746,1644,000215,116339,396
2010-06-08$14.33$14.0022.6%5.5%22.7%53.8%21.5%6.5%1.2%-13.0M175.3M-1.2M0.799.109,4227,464217,818342,066
2010-06-09$14.25$14.0024.6%6.1%22.7%64.0%21.2%5.9%0.6%-12.8M182.2M-1.2M3.147.862,6288,242224,876347,752
2010-06-10$14.60$14.0018.2%5.2%24.4%32.8%21.9%5.5%1.5%-11.9M109.1M-1.2M1.369.055,6407,658224,744344,462
2010-06-11$14.61$14.0018.8%5.4%24.4%35.7%17.2%4.7%1.9%-10.9M102.2M-1.2M0.108.1434,0083,476224,270347,454
2010-06-14$14.70$14.0018.6%5.3%24.4%34.6%17.6%4.2%2.1%-8.2M83.3M-1.3M0.438.6112,7325,530245,410348,930
2010-06-15$14.98$14.0016.1%4.6%25.4%22.3%15.8%4.4%2.8%-3.2M15.7M-1.3M0.238.3111,1402,522253,984352,048
2010-06-16$15.07$14.0016.0%4.6%25.2%21.9%16.1%2.6%2.8%-1.2M-18.3M-1.3M0.349.758,3062,790255,770353,044
2010-06-17$15.19$14.0015.3%4.4%25.0%18.7%15.2%2.5%3.1%1.1M-35.5M-1.3M0.0115.24568,2504,954254,412353,530
2010-06-18$15.04$14.5015.6%4.5%22.4%20.3%15.8%4.2%2.6%-19.1M23.3M-1.3M1.119.999,48810,516219,604357,784
2010-06-21$14.94$14.5015.8%4.5%22.6%21.2%15.9%4.2%1.2%-469.4K19.6M-1.3M0.8310.9321,23017,588174,860252,716
2010-06-22$14.56$15.0018.5%5.3%24.3%34.3%20.0%4.9%0.6%-2.7M73.8M-1.3M2.748.391,4624,004190,514265,322
2010-06-23$14.44$15.0018.7%5.4%24.5%35.3%18.8%4.7%0.6%-4.0M97.5M-1.2M0.487.674,3942,124190,996267,922
2010-06-24$14.36$15.0020.1%5.7%24.6%41.7%19.3%5.2%-0.0%-3.7M101.0M-1.2M1.3010.194,6146,016194,728268,492
2010-06-25$14.42$15.0018.7%5.4%23.7%35.2%18.2%5.5%0.8%-3.7M101.9M-1.3M1.4111.674,8566,864197,698274,088
2010-06-28$14.52$15.0018.9%5.4%23.8%36.0%18.8%4.2%1.0%-2.4M84.8M-1.3M0.958.722,6222,490201,254277,298
2010-06-29$14.22$15.0024.1%6.9%23.4%61.3%24.4%5.9%-0.3%-4.5M120.7M-1.2M2.368.438,32619,614202,916278,712
2010-06-30$14.13$15.0023.9%6.9%22.3%60.4%24.4%6.4%0.1%-5.8M137.0M-1.2M1.8320.581,1702,140211,364293,466